Evaluating Wilshire 5000 Using Regression to NGDP Current
Dollar (NGDP)
Applies R package “dpseg” segment selection regression for daily NGDP
(disaggregated) quarterly to
daily, made current using Atlanta Fed GDPNow and Cleveland Fed inflation
Livecasting.
George Robertson
2023-03-31
## calculating recursion for 2828 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2020-05-27 | 2022-01-14 | -10.74749 | 2.134652 | 0.9199517 |
| 2013-05-06 | 2020-05-26 | -10.80709 | 2.119731 | 0.9184568 |
| 2012-05-04 | 2013-05-03 | -48.07578 | 5.945914 | 0.9039791 |
| 2012-01-05 | 2012-05-03 | -36.53595 | 4.762732 | 0.7309496 |
| 2022-01-18 | 2023-03-31 | 27.82247 | -1.696730 | 0.4117366 |
## calculating recursion for 2828 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-04-07 | -5.804386 | 1.5948475 | 0.9338263 |
| 2020-06-02 | 2021-09-23 | -5.357367 | 1.5941605 | 0.9160201 |
| 2020-04-08 | 2020-06-01 | 22.082709 | -1.1885306 | 0.7604030 |
| 2021-09-24 | 2023-03-31 | 19.169630 | -0.8271131 | 0.7326403 |
## calculating recursion for 2828 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-10-19 | -32.43363 | 3.7332560 | 0.9370586 |
| 2021-10-20 | 2022-10-20 | 66.54613 | -6.0918050 | 0.8834144 |
| 2021-09-24 | 2023-03-31 | 19.16963 | -0.8271131 | 0.7326403 |
| 2022-10-21 | 2023-03-08 | -55.06868 | 5.8974810 | 0.7230942 |
| 2022-01-18 | 2023-03-31 | 27.82247 | -1.6967300 | 0.4117366 |
## calculating recursion for 2828 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -19.963350 | 2.4443728 | 0.9111658 |
| 2021-01-06 | 2023-03-31 | 10.830406 | -0.5754777 | 0.4170952 |
| 2020-11-09 | 2021-01-05 | 101.462762 | -9.6938146 | 0.2168734 |
| 2020-05-26 | 2020-11-06 | 2.852293 | 0.1758888 | 0.0288687 |
## calculating recursion for 2828 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-03-11 | -50.67197 | 5.6758303 | 0.9154820 |
| 2022-04-27 | 2023-03-31 | -78.00899 | 8.1838209 | 0.6655341 |
| 2020-03-12 | 2020-11-06 | 25.53610 | -2.0600416 | 0.2508647 |
| 2020-11-09 | 2022-04-26 | 15.39507 | -0.9966016 | 0.2287696 |
## calculating recursion for 2828 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-03-09 | -30.388661 | 3.5803800 | 0.9018954 |
| 2021-03-10 | 2022-12-19 | 20.368601 | -1.4789474 | 0.7492775 |
| 2022-12-20 | 2023-03-31 | 7.295965 | -0.1893905 | 0.0088530 |
## calculating recursion for 2828 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2022-01-18 | -37.09210 | 4.116160 | 0.9040889 |
| 2022-01-19 | 2022-11-09 | 32.30054 | -2.772619 | 0.3648903 |
| 2023-02-01 | 2023-03-31 | 68.14239 | -6.261567 | 0.2872199 |
| 2022-11-10 | 2023-01-31 | 20.63030 | -1.605276 | 0.0230058 |
## calculating recursion for 2828 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -20.4737826 | 2.4030190 | 0.8462844 |
| 2020-05-26 | 2020-11-05 | -0.9774735 | 0.4978856 | 0.1510233 |
| 2020-11-06 | 2023-03-31 | 5.4541209 | -0.1141341 | 0.0322025 |
